کد مقاله کد نشریه سال انتشار مقاله انگلیسی نسخه تمام متن
1155787 958768 2011 26 صفحه PDF دانلود رایگان
عنوان انگلیسی مقاله ISI
Approximation of stationary solutions of Gaussian driven stochastic differential equations
موضوعات مرتبط
مهندسی و علوم پایه ریاضیات ریاضیات (عمومی)
پیش نمایش صفحه اول مقاله
Approximation of stationary solutions of Gaussian driven stochastic differential equations
چکیده انگلیسی

We study sequences of empirical measures of Euler schemes associated to some non-Markovian SDEs: SDEs driven by Gaussian processes with stationary increments. We obtain the functional convergence of this sequence to a stationary solution to the SDE. Then, we end the paper by some specific properties of this stationary solution. We show that, in contrast to Markovian SDEs, its initial random value and the driving Gaussian process are always dependent. However, under an integral representation assumption, we also obtain that the past of the solution is independent of the future of the underlying innovation process of the Gaussian driving process.

ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Stochastic Processes and their Applications - Volume 121, Issue 12, December 2011, Pages 2776–2801
نویسندگان
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